Cancer and adverse effects of treatment and subsequent decrease in physical activity impairs functional status and quality of life. This pilot study with 30 outpatients randomized to one of two groups tests the feasibility of exercise therapy in multiple myeloma patients undergoing high dose chemotherapy and tandem transplants. The hypothesis is that patients who receive a prescribed, individualized exercise program will experience: 1) better performance status, 3) better bone health, and 4) better nocturnal sleep and 4) less fatigue. The exercise program consists of both aerobic and strength-building components beginning prior to treatment with high dose chemotherapy and transplant. All patients receive tests for aerobic capacity (Balke Modified testing protocol on treadmill) and strength of upper and lower extremities (testing on Keiser pneumatic equipment); and anthropometric, whole body density, mood (Profile of Mood States), bone densitometry, and sleep (actigraph and Epworth Sleepiness Scale), measurements. These data are collected at baseline, and just prior to their first and second transplants. Patients keep a daily activity/exercise log and a research assistant calls weekly to check on activity/exercise. Currently 20 patients are enrolled in the study. Repeated measures analysis of variance will be used to examine the hyphothesis.